Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1274
Annualized Std Dev 0.1766
Annualized Sharpe (Rf=0%) 0.7215

Row

Daily Return Statistics

Close
Observations 2862.0000
NAs 1.0000
Minimum -0.1199
Quartile 1 -0.0036
Median 0.0007
Arithmetic Mean 0.0005
Geometric Mean 0.0005
Quartile 3 0.0055
Maximum 0.0978
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0001
Stdev 0.0111
Skewness -0.6302
Kurtosis 14.7896

Downside Risk

Close
Semi Deviation 0.0082
Gain Deviation 0.0077
Loss Deviation 0.0094
Downside Deviation (MAR=210%) 0.0127
Downside Deviation (Rf=0%) 0.0080
Downside Deviation (0%) 0.0080
Maximum Drawdown 0.3527
Historical VaR (95%) -0.0166
Historical ES (95%) -0.0273
Modified VaR (95%) -0.0163
Modified ES (95%) -0.0308
From Trough To Depth Length To Trough Recovery
2020-02-20 2020-03-23 2020-08-24 -0.3527 130 23 107
2018-09-21 2018-12-24 2019-07-02 -0.2095 195 65 130
2011-05-02 2011-10-03 2012-02-27 -0.2085 208 108 100
2015-05-22 2016-02-11 2016-07-18 -0.1625 291 183 108
2010-04-26 2010-07-02 2010-11-04 -0.1619 136 49 87

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA NA NA NA NA 1.2 -1 0.1
2010 1.4 1.2 0.7 -1.7 -1.9 -0.5 0.1 3 0.4 0 2.1 -0.1 4.6
2011 1.6 -1.6 0.4 0.3 -2.3 1.4 -0.2 -1.1 -2.6 -2.7 -0.2 -0.4 -7.2
2012 1.2 0.8 0.3 0.5 -2.6 2.4 -0.5 0.4 0.2 1.1 0 1.9 5.9
2013 0.9 0.3 -0.5 -1.1 -1.4 0.6 1.3 -0.5 0.8 0.2 -0.1 0.4 0.9
2014 -0.6 0.2 0.8 0.1 0.1 0.7 -0.3 0.3 -1.3 1.2 -0.8 -1 -0.7
2015 -1.3 -0.4 -0.3 1 0.2 0.7 -0.1 -3 0.2 -0.4 0.9 -0.9 -3.5
2016 0 2.4 0.6 -0.5 0.2 0.3 -0.1 0 0.8 -0.8 -0.5 -0.3 2.1
2017 0 1.4 -0.2 0.3 0.9 0.1 0.2 0.2 0.3 0.1 -0.2 -0.4 2.7
2018 0 -1.2 1.3 0.3 1 0.1 -0.1 0 0.2 1.3 0.6 0.9 4.4
2019 0.1 0.7 1.2 -0.7 -1.3 0.7 -0.9 0 -1.3 1.1 -0.4 0.2 -0.7
2020 -1.8 -0.8 -4.6 -2.9 0.5 0.5 0.6 0.9 0.9 -1.2 0.9 0.4 -6.4
2021 1.8 2.6 0.1 NA NA NA NA NA NA NA NA NA 4.5

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart